Gazebo is one of several simulators that work with PX4 and ROS.
Simulation is important in order to test code without risk of damaging real hardware. It can be critical in uncovering faults that would otherwise be very difficult to trigger. This is not a tutorial on Gazebo, but a list of some resources to get started.
PX4.io Gazebo developer guide https://dev.px4.io/v1.9.0/en/simulation/gazebo.html
Youtube videos e.g. https://youtu.be/mranHM9wn0g
Read about Gazebo on Wikipedia.
Try out this simple Gazebo tutorial to control a differential drive robot, which is a fun way to learn both Gazebo and ROS. (smile)